> To make this point stick, you would also have to show why it's not an illusion when humans "appear" to have a theory.

That burden of proof is on you, since you are presumably human and you are challenging the need of humans to have more than a mere appearance of having a theory when they claim to have one.

Note that even when the only theoretical assumption we go with is that we will have a good laugh watching other people going crazy after random bullshits thrown at them, we still have a theory.